Based on my past unix/cobol, this is just an educated guess, but RUN is probably your cobol runtime or a shell script that runs your cobol runtime.
Any unix command executed with exec, executes in the current without spawning a child process - probably something that doesn't concern you.
I see no reason why you can't simply place:
RUN <program name>
in another shell script. Of course, you might need to do some other housekeeping such as setting the PATH correctly so you can find RUN and <program name>, cd to the right directory, etc.
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